Moment-based estimation of stochastic volatility

This paper makes use of the distributional information contained in high-frequency data to test for the specification of the functional form of the volatility process within the class of stochastic volatility models.

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Year of publication:	2013
Authors:	Bregantini, Daniele
Published in:	Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 12, p. 4755-4764
Publisher:	Elsevier
Subject:	Stochastic volatility \| Realised volatility \| Jumps

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Type of publication:	Article
Classification:	G1 - General Financial Markets ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709503